underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is … most pronounced at intermediate forecasting horizons. This suggests that inflation is projected to revert towards the … target too quickly. These results cannot be fully explained by the persistence embedded in the forecasting models nor by …

hybrid forecasts. Superior forecasting performance is achieved by both, taking into account the conditional expected …

forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this … point forecasting, while it can be exploited to produce more accurate sign and probability forecasts. Finally, we highlight … that the forecasting performance of the estimated models is time-varying. …

We propose new methods for comparing the relative out-of-sample forecasting performance of two competing models in the … presence of possible instabilities. The main idea is to develop a measure of the relative ìlocal forecasting performanceî for … the out-of-sample forecasting performance of monetary models of exchange rate determination relative to the random walk. …

We evaluate various models' relative performance in forecasting future US output growth and inflation on a monthly … essentially useless in the last two decades. When forecasting inflation, instead, fewer predictors are significant (among which …

and six quarters, ii) Using disaggregated price data improves forecasting performance, and iii) The factors are related to …

the strongest when forecasting one step-ahead and that it diminishes as the forecast horizon increases. There exists …, therefore, no potential whatsoever for the considered nonlinear models to outperform linear ones when forecasting far ahead. We …